Variable annuity pricing, valuation, and risk management: a survey-Reference-Cited by-同舟云学术

Variable annuity pricing, valuation, and risk management: a survey

Published:2022-03-28 Issue:10 Volume:2022 Page:867-900
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Feng Runhuan¹,Gan Guojun²^ORCID,Zhang Ning³

Affiliation:

1. Department of Mathematics, University of Illinois at Urbana-Champaign, Champaign, IL, USA

2. Department of Mathematics, University of Connecticut, Storrs, CT, USA

3. Department of Insurance and Risk Management, Hunan University, Changsha, People's Republic of China

Funder

National Social Science Foundation of China

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2022.2049635

Reference135 articles.

1. Academy's Economic Scenario Work Group (2010). C3 phase II, c3 phase III, and VM-20 interest rate and equity return generator (version 7). Technical Report. The American Academy of Actuaries and the Society of Actuaries (SOA).

2. On the coherence of expected shortfall

3. Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method

4. Cross-hedging minimum return guarantees: Basis and liquidity risks

5. Coherent Measures of Risk

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